Working Orders margins for LMAX  [SOLVED]

Questions about MultiCharts and user contributed studies.
vahalla
Posts: 15
Joined: 20 Aug 2014
Has thanked: 5 times
Been thanked: 1 time

Working Orders margins for LMAX

Postby vahalla » 10 Dec 2014

Need some help here thanks guys.

I have a trade placed. MC then sends contingency orders (stop loss and profit target) after the position is opened. However LMAX system seems to treat the 2 working orders (SL PT) as individual open orders and hence utilizes 2 sets of margins. So for 1 open position I have to have 3x margin.

I spoke to LMAX customer service and
ok this is a point in the system where the LMAX system will measure current exposure and will reject contingency orders coming in separately from the opening position however, orders entered on the MC system I believe are held locally on that system and fire in market orders, it would be best to ask MC how there system works.

ok the reason for this is that the system does not attach it as a closing order so therefore incorrectly assumes its an opening position the only way is to either enter the position with the contingency orders attached or enter the LMAX system click on individual positions and this will then allow you to enter both sl and tp in the box as points.
So my question is how do I enter the position with the SL and PT attached to the initial trade and not as 2 separate open orders?

Can anyone with experience in LMAX advise me on this?

User avatar
Andrew MultiCharts
Posts: 1587
Joined: 11 Oct 2011
Has thanked: 931 times
Been thanked: 559 times

Re: Working Orders margins for LMAX

Postby Andrew MultiCharts » 10 Dec 2014

Hello vahalla,

When your strategy opens a position and the profit target and stop loss orders are genereted by the code, these exit orders are sent to broker as 2 independent orders. They are in the same OCO group, but the OCO group is locally emulated in MultiCharts, what means LMAX simply sees those order as an individual limit order and an individual stop order.

I think what you are looking for is OSO order (One Sends Order). Unfortunately at the moment they are not yet supported in MultiCharts.

vahalla
Posts: 15
Joined: 20 Aug 2014
Has thanked: 5 times
Been thanked: 1 time

Re: Working Orders margins for LMAX

Postby vahalla » 10 Dec 2014

Thanks for the reply.

So this particular situation only affects LMAX? Or all other fx brokers are affected as well? The part where I have to have 3* margin for 1 open position.

I'm trying to select some fx brokers. Heard LMAX was good so decided to demo with them. First day and I'm having this issue.

User avatar
Andrew MultiCharts
Posts: 1587
Joined: 11 Oct 2011
Has thanked: 931 times
Been thanked: 559 times

Re: Working Orders margins for LMAX  [SOLVED]

Postby Andrew MultiCharts » 10 Dec 2014

The behavior i described in my previous post is the same for all brokers. The only exception is IB: they got the exit orders in one server-side (not emulated locally) OCO group.

vahalla
Posts: 15
Joined: 20 Aug 2014
Has thanked: 5 times
Been thanked: 1 time

Re: Working Orders margins for LMAX

Postby vahalla » 10 Dec 2014

Okay got it. Thanks v much for the insight.

LA901
Posts: 18
Joined: 15 Dec 2014
Has thanked: 7 times
Been thanked: 4 times

Re: Working Orders margins for LMAX

Postby LA901 » 15 Dec 2014

Just to add - you won't have 3x margin requirements, it's more like 2x.

For example if you had a 1 lot long in the market with an MC created OCO for SL and TP this would leave you with:

- 1 lot open long
- SL, 1 lot short stop order
- TP, 1 lot short limit order

Thus as LMAX doesn't treat the SL and TP as an OCO your total margin requirements will be as follows:

Greater of (a) total orders to open longs + open longs (b) total orders to open shorts + open shorts

Hence your margin is 2 lot short orders applied to current account equity.

If you test it, this is how it works (and is how described in the LMAX customer agreement and trading manual).

vahalla
Posts: 15
Joined: 20 Aug 2014
Has thanked: 5 times
Been thanked: 1 time

Re: Working Orders margins for LMAX

Postby vahalla » 15 Dec 2014

I did a quick check with no positions on.

Working order buy 1 @ 1.62
Working order sell 1 @1.63

Margin was only 320~. Apparently the sell order was the greater value of the 2.

Next I tried

Working order sell 1 @ 1.64
Working order sell 1 @ 1.63

Margin was 2x.

I haven't tried with position on and then putting on the SL and TP. I will monitor when there's a position on and post it here. But it seems you were right LA901. Thanks a lot for the input.

Edit: I have tested with a position long (1x margin) and the two corresponding SL and TP (another 1x margin). So in effect, 2x margins were required for the whole setup instead of 3. Hopes this helps with people using LMAX.

AlphaCat
Posts: 69
Joined: 09 Jul 2013
Been thanked: 9 times

Re: Working Orders margins for LMAX

Postby AlphaCat » 16 Dec 2014

Limit orders (which is what MC sends as target order) will need full margin, stop orders dont need margin.

It would be nice if MC would implement the serverside native stop/target orders for lmax. They are more efficient with margin, and also more secure in case of internet connectivity loss.

LA901
Posts: 18
Joined: 15 Dec 2014
Has thanked: 7 times
Been thanked: 4 times

Re: Working Orders margins for LMAX

Postby LA901 » 16 Dec 2014

Limit orders (which is what MC sends as target order) will need full margin, stop orders dont need margin.
This is incorrect - LMAX does not distinguish between order types when setting margin charges - market, limit or stop - they all attract margin costs.

The actual margin charged is as per I described above. Test it out, place a stop order on their web platform, you will be charged margin costs for that order.

AlphaCat
Posts: 69
Joined: 09 Jul 2013
Been thanked: 9 times

Re: Working Orders margins for LMAX

Postby AlphaCat » 16 Dec 2014

Ha. I never noticed that.


Return to “MultiCharts”